Finite-maturity stock loans under the constant elasticity of variance model |
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Authors: | Li Yan Xiaoer Qin Haoqi Li |
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Affiliation: | 1. School of mathematical science, Chongqing Normal University, Chongqing, China;2. School of Mathematics and Statistics, Yangtze Normal University, Chongqing, China |
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Abstract: | This article expresses the constant elasticity of variance stock loans pricing formula in terms of the noncentral chi-square distribution. By using the numerical solutions of the integral equation for the early exit boundary, we calculated the valuation of the stock loans. Numerical analysis is carried out to establish explicitly the value of such a loan, as well as the loan amount and the fee for providing such a service. |
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Keywords: | Stock loans constant elasticity of variance noncentral Chi-Squared distribution integral equation |
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